Tue, 25 Oct 2016

Rblpapi 0.3.5

A new release of Rblpapi is now on CRAN. Rblpapi provides a direct interface between R and the Bloomberg Terminal via the C++ API provided by Bloomberg Labs (but note that a valid Bloomberg license and installation is required).

This is the sixth release since the package first appeared on CRAN last year. This release brings new functionality via new (getPortfolio()) and extended functions (getTicks()) as well as several fixes:

Changes in Rblpapi version 0.3.5 (2016-10-25)

  • Add new function getPortfolio to retrieve portfolio data via bds (John in #176)

  • Extend getTicks() to (optionally) return non-numeric data as part of data.frame or data.table (Dirk in #200)

  • Similarly extend getMultipleTicks (Dirk in #202)

  • Correct statement on timestamp for getBars (Closes issue #192)

  • Minor edits to a few files in order to either please R(-devel) CMD check --as-cran, or update documentation

Courtesy of CRANberries, there is also a diffstat report for the this release. As always, more detailed information is on the Rblpapi page. Questions, comments etc should go to the issue tickets system at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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Sun, 08 May 2016

Rblpapi 0.3.4

A new release of Rblpapi is now on CRAN. It provides a direct interface between R and the Bloomberg Terminal via the C++ API provided by Bloomberg Labs (but note that a valid Bloomberg license and installation is required).

This marks the fifth release since the package first appeared on CRAN last year. Continued thanks to all contributors for code, suggestions or bug reports. This release contains a lot of internal fixes by Whit, John and myself and should prove to be more resilient to 'odd' representations of data coming back. The NEWS.Rd extract has more details:

Changes in Rblpapi version 0.3.4 (2016-05-08)

  • On startup, the API versions of both the headers and the runtime are displayed (PR #161 and #165).

  • Documentation about extended futures roll notation was added to the bdh manual page.

  • Additional examples for overrides where added to bdh (PR #158).

  • Internal code changes make retrieval of data in ‘unusual’ variable types more robust (PRs #157 and #153)

  • General improvements and fixes to documentation (PR #156)

  • The bdp function now also supports an option verbose (PR #149).

  • The internal header Rblpapi_types.h was renamed from a lower-cased variant to conform with Rcpp Attributes best practices (PR #145).

Courtesy of CRANberries, there is also a diffstat report for the this release. As always, more detailed information is on the Rblpapi page. Questions, comments etc should go to the issue tickets system at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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Tue, 15 Mar 2016

Rblpapi 0.3.3

A new release of Rblpapi is now on CRAN. It provides a direct interface between R and the Bloomberg Terminal via the C++ API provided by Bloomberg Labs (but note that a valid Bloomberg license and installation is required).

This marks the fourth release since the package first appeared on CRAN last year. Thanks to multiple contributors, it packs a number of changes (including two new functions bsrch() and fieldInfo()), numerous internal as well as build improvements, additional documentation and last but not least use of unit testing (provided a Bloomberg connection is available, ie not at CRAN or on Travis CI). See the NEWS.Rd extract for more details:

Changes in Rblpapi version 0.3.3 (2016-03-14)

  • configure adds a missing method="libcurl" options (PR #109 by Martin Bel).

  • New function bsrch() adds basic search functionality (PR #111 by Morgan Williams fixing ticket #82).

  • The licensing status of the Rblpapi source package was clarified (PR #119).

  • The bds() help page now shows an example using an overrides argument (PR #121).

  • A new function fieldInfo was added, and field information is used in bdh and bdp (PRs #122, #123, #125, and #127).

  • The bdp function now checks the order (PR #126).

  • Unit testing was added (PRs #129 and #131).

  • Data retrieval is now smarter about the types returned from Bloomberg (PR #132 and #133; and #141 and #142).

  • The bdh and bds functions now support an option verbose (PRs #138).

Courtesy of CRANberries, there is also a diffstat report for the this release. As always, more detailed information is on the Rblpapi page. Questions, comments etc should go to the issue tickets system at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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Sun, 06 Mar 2016

Rblpapi 'Release Candidate' 0.3.2.5

We have a made numerous changes to Rblpapi since the previous release 0.3.2 in early December. You can see the commits, or look at the ChangeLog or NEWS.Rd to get an indea of the changes. We have new functions, improved internals, bug fixes and more.

In order to facilitate more widespread testing, I have just placed source and (Windows) binaries in the ghrr drat repo from which you can install the new version simply via

drat:::add("ghrr")          # if you have drat installed
install.packages("Rblpapi") # uses the drat version b/c higher version number than release

Alternatively you can also do

drat:::add("ghrr")          # if you have drat installed
update.packages()           # refresh all packages against all repos

We would appreciate wider testing, and feedback / bug reports / ... via the issue tracker. PRs with unit test suggestions would also be most welcome -- we now use RUnit and run the tests if a file ~/.R/rblpapiOptions.R exists which sets the options() values for automatic connection (see help(blpConnect)) as well as the blpUnitTests=TRUE option. This is needed to 'opt-in' as standard test setups at [Travis])(https://travis-ci.org/) or CRAN will not have access to a Bloomberg terminal.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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Mon, 07 Dec 2015

Rblpapi 0.3.2

The second update to the Rblpapi package (since the initial CRAN upload in August) is now available. Rblpapi connects R to the Bloomberg system, giving access to a truly vast array of time series data and custom calculations.

This release brings a new subscribe() function for real-time data, written by Whit. Don't get too excited because R's single-threadedness places some limits of the usefulness of this--but it is still tremendously valuable for checking other data sources etc pp. Also included in this release are a ton of bug fixes, many contributed by Rademeyer -- see below for more details.

Changes in Rblpapi version 0.3.2 (2015-12-07)

  • A new subscribe() function supports live data subscription for a set of tickers and fields (#88).

  • In the beqs() example the correct date format is used (PR #85 by Rademeyer).

  • Both getTicks() and getBars() now check the start and end times for proper Datetime class.

  • The getBars() function now also return the ‘value traded’ (request of #89).

  • An error in the documentation for bdh was corrected (PR #93 by Rademeyer closing #85).

  • The beqs() function is now more robust with respect to empty return columns (PR #100 by Rademeyer fixing ticket #99).

  • The getBars() function now uses a single (named) vector options to pass optional values to the underlying function (PR #105 updating PR #48 and fixing #47).

  • When R is built with libcurl support, it used to download the build-time library and headers; otherwise curl is used. This avoids an issue on OS X where curl is insufficient.

Courtesy of CRANberries, there is also a diffstat report for the this release. As always, more detailed information is on the Rblpapi page. Questions, comments etc should go to the issue tickets system at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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Tue, 20 Oct 2015

Rblpapi 0.3.1

The first update to the Rblpapi package since the initial CRAN upload in August is now available.

Rblpapi connects R to the Bloomberg system, giving access to a truly vast array of time series data and custom calculations.

This release brings a new beqs() functions to access the results from Bloomberg EQS queries, improves the build system a correct a bug in the retrieval of multiple tick series. The changes are detailed below.

Changes in Rblpapi version 0.3.1 (2015-10-19)

  • Added beqs() to run Bloomberg Equity Screen Search, based on initial PR #79 by Rademeyer Vermaak, reworked in PRs #83 and #84 by Dirk; closes tickets #63 and #80.

  • Bloomberg header and library files are now cached locally instead of being re-downloaded for every build (PR #78 by Dirk addressing issue #65).

  • For multiple ticks, time-stamps are unique-yfied before merging (PR #77 by Dirk addressing issue #76).

  • A compiler warning under new g++ versions is now suppressed (PR #69 by John, fixing #68).

Courtesy of CRANberries, there is also a diffstat report for the this release. As always, more detailed information is on the Rblpapi. Questions, comments etc should go to the issue tickets system at the GitHub repo.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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Fri, 14 Aug 2015

Rblpapi: Connecting R to Bloomberg

big deal

Whit, John and I are thrilled to announce Rblapi, a new CRAN package which connects R to the Bloomberg backends.

Rebuilt from scratch using only the Bloomberg C++ API and the Rcpp and BH packages, it offers efficient and direct access from R to a truly vast number of financial data series, pricing tools and more. The package has been tested on Windows, OS X and Linux. As is standard for CRAN packages, binaries for Windows and OS X are provided (or will be once the builders caught up). Needless to say, a working Bloomberg installation is required to use the package.

Please see the Rblapi package page for more details, including a large part of the introductory vignette document. As a teaser, here are just three of the core functions:

## Bloomberg Data Point Query
bdp(c("ESA Index", "SPY US Equity"), c("PX_LAST", "VOLUME"))

## Bloomberg Data Set Query
bds("GOOG US Equity", "TOP_20_HOLDERS_PUBLIC_FILINGS")

## Bloomberg Data History Query
bdh("SPY US Equity", c("PX_LAST", "VOLUME"), start.date=Sys.Date()-31)

## Get OHLCV bars (by default hourly and just six of them)
getBars("ES1 Index")

## Get Tick Data (by default last hour)
getTicks("ES1 Index")

Source code for the package is at the Rblpapi GitHub repo where issue tickets can be filed as well. The sibbling blp GitHub repo contains the Bloomberg code required to build and link the package (which is automated during the build of the CRAN package). Last but not least the Rblpapi package page has more details about the package.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

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